This functionality is available since version 2.1 of Load Them All, and works for QGIS v.2.x.

Imagine that we have Shapefile layers (could be another vector or raster data format) in our hard disk, arranged in this way:

If we want this directory structure to be reflected in the QGIS ToC, we can use Load Them All, go to tab Configuration and activate "Create groups based on directories' names":

Then, we specify the path to the data and the Shapefile format:

After clicking on Ok, we'll see the layers into QGIS, arranged in groups representing the directories:

Load Them All also allows us to apply alphanumeric and/or geometric filters to discard some of the layers before loading a layer set to QGIS. For example, we could load only those layers containing a specific string or only the layers whose geometry type is line, this way:

More information about Load Them All here.